Abstract

Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The
results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of
daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return
and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series.
The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and
with related sectors such as value stocks are diminished, while the general influence of market sentiment,
coming through the large cap indices is enhanced. This would indicate that on a daily basis general market
sentiment plays a more fundamental role than more intuitive relationships within the capital markets.